NPORT-EX 2 NPORT_5835989309090221.htm

  

Morgan Stanley U.S. Government Securities Trust

Portfolio of Investments ▪ September 30, 2020 (unaudited)

  

PRINCIPAL
AMOUNT
(000)		       COUPON
RATE		   MATURITY
DATE		   VALUE  
    Agency Adjustable Rate Mortgages (0.4%)      
    Federal Home Loan Mortgage Corporation,          
    Conventional Pools:      
$ 1,011   12 Month USD LIBOR + 1.815% ........   3.104  % 06/01/43   $ 1,062,231  
114   12 Month USD LIBOR + 1.74% ........   3.649   11/01/36   119,507  
298   12 Month USD LIBOR + 1.905% ........   3.962   10/01/36   315,078  
123  

Federal National Mortgage Association, Conventional Pool:

12 Month USD LIBOR + 1.57%

   2.445   05/01/44   126,900  
    Total Agency Adjustable Rate Mortgages (Cost $1,624,342)       1,623,716  
    Agency Bond - Finance (U.S. Government Guaranteed) (0.3%)      
1,172  

Washington Aircraft 1 Co., DAC (Ireland)

(Cost $1,172,090)

   2.637   09/15/26   1,246,281  
    Agency Bonds - Sovereign (U.S. Government Guaranteed) (4.6%)      
14,175   Israel Government AID Bond (Israel)   5.50   09/18/23   16,367,358  
2,516   Petroleos Mexicanos (Mexico)   2.46   12/15/25   2,637,258  
   

Total Agency Bonds - Sovereign (U.S. Government Guaranteed)

(Cost $18,093,158)

       19,004,616  
    Agency Fixed Rate Mortgages (33.5%)      
    Federal Home Loan Mortgage Corporation,          
    Conventional Pools:      
424     3.00   12/01/49   438,654  
975     4.00   04/01/49   1,039,743  
657     4.50   11/01/48   710,930  
    Gold Pools:      
4,251     3.00   03/01/47–06/01/49   4,468,594  
7,601     3.50   08/01/42–04/01/49   8,290,483  
3,389     4.00   12/01/41–10/01/45   3,709,975  
624     5.00   01/01/40   719,091  
793     5.50   11/01/39   913,378  
148     6.50   03/01/29–09/01/32   167,986  
193     7.50   05/01/35   229,971  
124     8.00   08/01/32   148,490  
130     8.50   08/01/31   157,751  
    Federal National Mortgage Association,          
    Conventional Pools:      
813     2.50   02/01/50   852,097  
10,421     3.00   06/01/40–11/01/49   10,941,758  
16,718     3.50   12/01/42–07/01/49   18,045,199  
19,093     4.00   11/01/41–09/01/48   20,983,673  
7,595     4.50   01/01/25–09/01/48   8,502,966  
2,307     5.00   05/01/35–02/01/41   2,651,716  
670     5.13   03/01/38   762,446  
1,985     5.50   03/01/35–10/01/35   2,333,843  
28     6.50   06/01/29–02/01/33   31,004  
1     7.00   05/01/31   986  
307     7.50   08/01/37   381,218  
251     8.00   04/01/33   309,563  
248     8.50   10/01/32   308,258  
    October TBA:      
4,000   (a)   2.00   10/01/50   4,135,938  
18,175   (a)   2.50   10/01/50   19,066,001  
6,670   (a)   3.00   10/01/35–10/01/50   6,996,583  
2,000   (a)   3.50   10/01/50   2,108,828  

 

 

1

 

 

Morgan Stanley U.S. Government Securities Trust

Portfolio of Investments ▪ September 30, 2020 (unaudited) continued

 

      Government National Mortgage Association,      
    Various Pools:      
  5,604     3.50   08/20/45–07/20/49   5,997,506  
  6,956     4.00   11/20/42–05/20/49   7,457,916  
  354     4.50   04/20/49   378,079  
  737     5.00   01/20/40–02/20/49   821,416  
  57     5.125   11/20/37   61,936  
  493     5.25   04/20/36–09/20/39   556,238  
  863     5.375   02/20/36–08/20/40   965,637  
  1,106     6.00   02/15/28–09/20/34   1,259,437  
  69     7.00   03/20/26–07/20/29   79,817  
  305     8.00   11/15/21–08/15/31   311,177  
  325     8.50   07/15/30   357,478  
  14     9.00   12/15/20–02/15/25   16,065  
  1     9.50   10/15/20–12/15/20   572  
    Total Agency Fixed Rate Mortgages (Cost $133,308,220)     137,670,397  
    Asset-Backed Securities (2.5%)    
  1,181   Ajax Mortgage Loan Trust (b)   1.698   05/25/59   1,184,373  
  1,500   AMSR 2019-SFR1 Trust (b)   2.774   01/19/39   1,593,161  
  1,378  

Invitation Homes Trust,

1 Month USD LIBOR + 1.00% (b)

   1.151 (c) 07/17/37   1,383,579  
  897   Navient Private Education Refi Loan Trust (b)   1.22   07/15/69   900,896  
  250  

North Carolina State Education Assistance Authority,

3 Month USD LIBOR + 0.80%

   1.045 (c) 07/25/25   250,042  
      United States Small Business Administration      
  1,383     2.42   06/01/32   1,439,734  
  3,243     2.67   04/01/32   3,421,449  
    Total Asset-Backed Securities (Cost $9,765,275)     10,173,234  
    Collateralized Mortgage Obligations - Agency Collateral Series (8.1%)    
      Federal Home Loan Mortgage Corporation      
  5,600     2.373   05/25/22   5,752,767  
  4,700     2.682   10/25/22   4,885,720  
  3,850     3.208   02/25/26   4,306,228  
  4,000     3.32   02/25/23   4,247,230  
  3,429     3.527 (c) 10/25/23   3,725,575  
  3,200     3.69   01/25/29   3,838,989  
  2,760     3.90 (c) 08/25/28   3,342,962  
    IO      
  32,697     0.456 (c) 11/25/27   729,642  
  20,245     0.565 (c) 08/25/27   552,600  
    IO REMIC      
  3,167   6.00% - 1 Month USD LIBOR   5.848 (d) 11/15/43   544,883  
  929   6.05% - 1 Month USD LIBOR   5.898 (d) 04/15/39   16,013  
      Federal National Mortgage Association      
  591     3.763   06/25/21   597,438  
    IO REMIC      
  4,014     3.50   02/25/39   88,509  
  4,048   6.55% - 1 Month USD LIBOR   6.402 (d) 08/25/41   472,391  
  460   Government National Mortgage Association, IO   5.00   02/16/41   83,507  
   

Total Collateralized Mortgage Obligations - Agency Collateral Series

(Cost $29,857,614)

     33,184,454  
    Commercial Mortgage-Backed Securities (3.8%)    
  1,211  

Bancorp Commercial Mortgage Trust,

1 Month USD LIBOR + 1.05% (b)

   1.202 (c) 09/15/36   1,197,935  
  6,980   BANK 2019-BNK21, IO   0.997 (c) 10/17/52   452,673  
  9,965   Barclays Commercial Mortgage Trust, IO   1.505 (c) 05/15/52   932,543  
  600  

CAMB Commercial Mortgage Trust,

1 Month USD LIBOR + 1.07% (b)

   1.222 (c) 12/15/37   602,594  
      Citigroup Commercial Mortgage Trust,      
    IO      
  5,440     0.975 (c) 11/10/48   156,285  

 

2

 

 

Morgan Stanley U.S. Government Securities Trust

Portfolio of Investments ▪ September 30, 2020 (unaudited) continued

 

  13,983     1.04 (c) 09/10/58   511,091  
  8,306     1.181 (c) 11/10/46   224,067  
  6,974   COMM Mortgage Trust, IO   1.292 (c) 08/10/46   187,054  
  23,249   Commercial Mortgage Pass-Through Certificates, IO   0.729 (c) 02/10/47   393,730  
      GS Mortgage Securities Trust,      
    IO      
  9,081     1.202 (c) 11/10/46   244,568  
  16,235     1.219 (c) 04/10/47   388,064  
  14,777     1.401 (c) 10/10/48   723,896  
  1,300  

Hawaii Hotel Trust,

1 Month USD LIBOR + 1.15% (b)

   1.302 (c) 05/15/38   1,263,459  
  8,541   JP Morgan Chase Commercial Mortgage Securities Trust, IO   0.819 (c) 12/15/49   238,783  
      JPMBB Commercial Mortgage Securities Trust,      
    IO      
  23,052     0.916 (c) 01/15/47   478,216  
  4,947     1.23 (c) 11/15/45   134,936  
  1,400  

Mortgage Trust,

1 Month USD LIBOR + 1.20% (b)

   1.352 (c) 12/15/35   1,403,284  
  1,300   SG Commercial Mortgage Securities Trust (b)   4.163   02/15/41   1,492,526  
  1,305  

VMC Finance LLC,

1 Month USD LIBOR + 1.10% (b)

   1.251 (c) 09/15/36   1,278,662  
      Wells Fargo Commercial Mortgage Trust      
  800   1 Month USD LIBOR + 1.01% (b)   1.162 (c) 02/15/37   767,595  
  800   1 Month USD LIBOR + 1.14% (b)   1.292 (c) 01/15/35   777,899  
      WFRBS Commercial Mortgage Trust,      
    IO      
  11,918     0.565 (c) 08/15/46   114,349  
  11,635     1.00 (c) 03/15/46   188,961  
  13,664     1.242 (c) 12/15/46   379,617  
  1,100   Worldwide Plaza Trust (b)   3.526   11/10/36   1,212,740  
    Total Commercial Mortgage-Backed Securities (Cost $15,072,817)     15,745,527  
    Corporate Bond (0.1%)    
    Consumer, Non-Cyclical    
  280  

University of Chicago (The), Series C

(Cost $280,000)

   2.547   04/01/50   280,682  
    Mortgages - Other (10.0%)    
  1,484   BRAVO Residential Funding Trust (b)   3.50 (c) 10/25/44   1,574,803  
  1,449   Bunker Hill Loan Depositary Trust (b)   1.724 (c) 02/25/55   1,466,436  
  1,090   Cascade Funding Mortgage Trust (b)   4.00 (c) 10/25/68   1,135,236  
  934   CIM Trust (b)   3.00 (c) 04/25/57   956,935  
  1,000   COLT 2020-1R Mortgage Loan Trust (b)   1.255 (c) 09/25/65   1,002,500  
      Federal Home Loan Mortgage Corporation      
  135   1 Month USD LIBOR + 1.20%   1.348 (c) 10/25/29   135,585  
  4,380     3.00   09/25/45–05/25/47   4,469,431  
  3,174     3.50   05/25/45–05/25/47   3,292,002  
  157     4.00   05/25/45   164,475  
      Galton Funding Mortgage Trust      
  962   (b)   3.50 (c) 06/25/59   986,450  
  970   (b)   4.00 (c) 11/25/57–02/25/59   1,006,616  
  1,256   GCAT Trust (b)    1.555   04/25/65   1,259,211  
      New Residential Mortgage Loan Trust      
  1,897   (b)   3.75 (c) 11/26/35–08/25/55   2,059,965  
  3,039   (b)   4.00 (c) 02/25/57–09/25/57   3,320,746  
  470   OBX 2020-EXP1 Trust (b)   3.50 (c) 02/25/60   485,853  
  1,283   Oceanview Mortgage Loan Trust (b)   1.733   05/28/50   1,285,866  
      Seasoned Credit Risk Transfer Trust      
  11,117     3.00   07/25/56–02/25/59   12,122,275  
  1,237     4.00   08/25/58–02/25/59   1,373,674  

 

3

 

 

Morgan Stanley U.S. Government Securities Trust

Portfolio of Investments ▪ September 30, 2020 (unaudited) continued

 

 

  2,636     4.50 06/25/57   2,956,721  
      Total Mortgages - Other (Cost $38,688,219)         41,054,780  
      Municipal Bonds (13.1%)    
  3,615   Bay Area Toll Authority   6.263   04/01/49   6,178,812  
  3,875   City of New York, NY, Series G-1   5.968   03/01/36   5,609,586  
  3,060   City of San Francisco, CA, Public Utilities Commission Water Revenue   6.00   11/01/40   4,466,520  
  5,980   Los Angeles Unified School District   5.75   07/01/34   8,356,631  
  1,450   Metropolitan Transportation Authority   6.668   11/15/39   1,844,994  
  6,245   Missouri Highway & Transportation Commission   5.445   05/01/33   8,277,335  
  3,625   New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Transitional Finance Authority Future Tax Secured Revenue Series A     5.267   05/01/27   4,453,331  
  3,000   New York State Dormitory Authority   5.628   03/15/39   4,048,512  
  1,725   North Carolina State University at Raleigh, Series B   2.62   10/01/39   1,817,219  
  1,400   Onondaga Civic Development Corp., NY   3.068   12/01/55   1,449,252  
  700   Pennsylvania State University (The), PA, Series D   2.84   09/01/50   720,713  
  2,575   State of Oregon Department of Transportation   5.834   11/15/34   3,745,783  
  1,580   State of Washington   5.481   08/01/39   2,301,795  
  725   University of Virginia, VA   2.256   09/01/50   710,681  
      Total Municipal Bonds (Cost $40,206,103)     53,981,164  
      U.S. Agency Securities (8.1%)    
  2,175   Federal Home Loan Bank   3.25   11/16/28   2,614,493  
  6,960   Private Export Funding Corp.   4.30   12/15/21   7,301,338  
      Tennessee Valley Authority        
  6,935     5.25   09/15/39   10,711,422  
  8,085     7.125   05/01/30   12,576,278  
      Total U.S. Agency Securities (Cost $26,474,836)     33,203,531  
      U.S. Treasury Securities (12.6%)    
      U.S. Treasury Bonds        
  3,150     2.25   08/15/46   3,729,551  
  4,625     2.875   08/15/45   6,090,728  
  5,850     3.00   11/15/45   7,877,619  
  32,825   U.S. Treasury Note   1.25   08/31/24   34,163,644  
      Total U.S. Treasury Securities (Cost $51,642,469)     51,861,542  
     
      Short-Term Investments (10.3%)    
      U.S. Treasury Securities (7.9%)    
      U.S. Treasury Bills        
  6,000   (e)   0.147   02/25/21   5,997,764  
  2,370   (e)(f)   0.159   01/28/21   2,369,285  
  16,000   (e)    0.168   02/25/21   15,994,039  
  8,250   (e)    0.101   03/04/21   8,246,824  
       Total U.S. Treasury Securities (Cost $32,600,880)       32,607,912  
  NUMBER OF
SHARES
(000)		          
      Investment Company (2.4%)    
  9,672   Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (g) (Cost $9,672,182)   9,672,182  
      Total Short-Term Investments (Cost $42,273,062)     42,280,094  

  

4

 

 

Morgan Stanley U.S. Government Securities Trust

Portfolio of Investments ▪ September 30, 2020 (unaudited) continued

 

      Total Investments (Cost $408,458,205) (h)(i)(j)   107.4 %   441,310,018
      Liabilities in Excess of Other Assets (7.4 )   (30,333,877)
      Net Assets     100.0 %   $ 410,976,141

  

 

AID   Agency for International Development.
IO   Interest Only.
LIBOR   London Interbank Offered Rate.
REMIC   Real Estate Mortgage Investment Conduit.
TBA   To Be Announced.
(a)   Security is subject to delayed delivery.
(b)   144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(c)   Floating or variable rate securities: The rates disclosed are as of September 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.
(d)   Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at September 30, 2020.
(e)   Rate shown is the yield to maturity at September 30, 2020.
(f)   All or a portion of the security was pledged to cover margin requirements for futures contracts.
(g)   The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the nine months ended September 30, 2020, advisory fees paid were reduced by $10,669 relating to the Fund's investment in the Liquidity Funds.
(h)   Securities are available for collateral in connection with purchase of securities on a forward commitment basis and open futures contracts.
(i)   The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the nine months ended September 30, 2020, the Fund did not engage in any cross-trade transactions.
(j)   At September 30, 2020, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $33,313,041 and the aggregate gross unrealized depreciation is $461,082, resulting in net unrealized appreciation of $32,851,959.

  

Futures Contracts:

The Fund had the following futures contracts open at September 30, 2020:

 

   NUMBER
OF
CONTRACTS		   EXPIRATION
DATE		  NOTIONAL AMOUNT
(000)		   VALUE   UNREALIZED
APPRECIATION
(DEPRECIATION)		 
Long:                       
U.S. Treasury 5 yr. Note   194   Dec-20  $19,400   $24,450,062   $40,150 
U.S. Treasury Ultra Bond   4   Dec-20   400    887,250    1,931 
U.S. Treasury Long Bond   3   Dec-20   300    528,844    1,179 
Short:                       
U.S. Treasury 2 yr. Note   47   Dec-20   (9,400)   (10,385,164)   (4,199)
U.S. Treasury 10 yr. Ultra Long Bond   108   Dec-20   (10,800)   (17,271,562)   (38,915)
                     $146 

  

Currency Abbreviation:

USD — United States Dollar

 

5

 

  

PORTFOLIO COMPOSITION* as of 09/30/20   Percentage of
Total
Investments
Agency Fixed Rate Mortgages   31.2  %
Municipal Bonds   12.2 
U.S. Treasury Securities   11.7 
Short-Term Investments   9.6 
Mortgages - Other   9.3 
U.S. Agency Securities   7.5 
Collateralized Mortgage Obligations - Agency Collateral Series   7.5 
Agency Bonds - Sovereign (U.S. Government Guaranteed)   4.3 
Commercial Mortgage-Backed Securities   3.6 
Asset-Backed Securities   2.3 
Agency Adjustable Rate Mortgages   0.4 
Agency Bond - Finance (U.S. Government Guaranteed)   0.3 
Corporate Bond   0.1 
   100.0  %

 

 

* Does not include open long/short futures contracts with a value of $53,522,882 and net unrealized appreciation of $146.  

 

6

 

 

Morgan Stanley U.S. Government Securities Trust

 

Notes to Portfolio of Investments ▪ September 30, 2020 (unaudited)

  

Valuation of Investments - (1) Certain portfolio securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads, and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor, and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price), prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges. If only bid prices are available then the latest bid price may be used. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security's fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (2) portfolio securities for which over-the-counter ("OTC") market quotations are readily available are valued at its latest reported sales price (or at the market official closing price if such market reports an official closing price), and if there was no trading in the security on a given day and if there is no official closing price from relevant markets for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant markets; (3) when market quotations are not readily available, including circumstances under which the Adviser determines that the market quotations are not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Trustees; (4) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

 

The Trustees have responsibility for determining in good faith the fair value of the investments, and the Trustees may appoint others, such as the Fund’s Adviser or a valuation committee, to assist the Trustees in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

 

7

 

  

Fair Valuation Measurements

 

FASB Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:

 

  ·  Level 1 – unadjusted quoted prices in active markets for identical investments

 

  ·  Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

  ·  Level 3 – significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

 

The following is a summary of the inputs used to value the Fund's investments as of September 30, 2020:

 

INVESTMENT TYPE  LEVEL 1
UNADJUSTED
QUOTED
PRICES		   LEVEL 2
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS		   LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS		   TOTAL 
Assets:        
Fixed Income Securities                    
Agency Adjustable Rate Mortgages  $—     $1,623,716   $—   $1,623,716 
Agency Bond - Finance (U.S. Government Guaranteed)   —    1,246,281    —    1,246,281 
Agency Bonds - Sovereign (U.S. Government Guaranteed)   —    19,004,616    —    19,004,616 
Agency Fixed Rate Mortgages   —    137,670,397    —    137,670,397 
Asset-Backed Securities   —    10,173,234    —    10,173,234 
Collateralized Mortgage Obligations - Agency Collateral Series   —    33,184,454    —    33,184,454 
Commercial Mortgage-Backed Securities   —    15,745,527    —    15,745,527 
Corporate Bond   —    280,682    —    280,682 
Mortgages - Other   —    41,054,780    —    41,054,780 
Municipal Bonds   —    53,981,164    —    53,981,164 
U.S. Agency Securities   —    33,203,531    —    33,203,531 
U.S. Treasury Securities   —    51,861,542    —    51,861,542 
Total Fixed Income Securities   —    399,029,924    —    399,029,924 
Short-Term Investments                    
U.S. Treasury Securities   —    32,607,912    —    32,607,912 
Investment Company   9,672,182    —    —    9,672,182 
Total Short-Term Investments   9,672,182    32,607,912    —    42,280,094 
Futures Contracts   43,260    —    —    43,260 
Total Assets   9,715,442    431,637,836    —    441,353,278 
Liabilities:                    
Futures Contracts   (43,114)   —    —    (43,114)
Total  $9,672,328   $431,637,836   $             —   $441,310,164 

 

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.

 

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